An empirical study of LMSV model in China stock market based on realized volatility

  • Yi Zheng, Xun Liang
  • Published 2015 in
    2015 12th International Conference on Service…

Abstract

This paper studies the characteristics of long memory in high-frequency financial time series. First, it introduces realized volatility (RV) and long memory stochastic volatility model (LMSV). Because there are too many parameters in LMSV model, usual methods to estimate parameters are not useful any more. Second, we adopt the semi-parametric estimation… (More)

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Cite this paper

@article{Zheng2015AnES, title={An empirical study of LMSV model in China stock market based on realized volatility}, author={Yi Zheng and Xun Liang}, journal={2015 12th International Conference on Service Systems and Service Management (ICSSSM)}, year={2015}, pages={1-6} }